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Paper detail

Kernel representation formula from complex to real Wiener-Ito integrals and vice versa

We clearly characterize the relation between real and complex Wiener-Ito integrals. Given a complex multiple Wiener-Ito integral, we get explicit expressions for two kernels of its real and imaginary parts. Conversely, consider a two-dimensional real Wiener-Ito integral, we obtain the representation formula by a finite sum of complex Wiener-Ito integrals. The main tools are a recursion technique and Malliavin derivative operators. We build a bridge between real and complex Wiener-Ito integrals.

preprint2022arXivOpen access
Huiping ChenYong ChenYong Liu
math.PR
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Huiping ChenYong ChenYong Liu

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